Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0516
Annualized Std Dev 0.2643
Annualized Sharpe (Rf=0%) 0.1951

Row

Daily Return Statistics

Close
Observations 3167.0000
NAs 1.0000
Minimum -0.1154
Quartile 1 -0.0071
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0078
Maximum 0.1674
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0166
Skewness 0.2895
Kurtosis 11.9499

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0126
Loss Deviation 0.0127
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.4937
Historical VaR (95%) -0.0233
Historical ES (95%) -0.0392
Modified VaR (95%) -0.0216
Modified ES (95%) -0.0216
From Trough To Depth Length To Trough Recovery
2008-08-18 2008-11-20 2009-07-20 -0.4937 230 66 164
2018-01-29 2020-03-23 2020-11-05 -0.3556 700 541 159
2015-04-28 2016-01-20 2017-07-14 -0.3265 559 185 374
2010-11-08 2011-10-03 2014-07-28 -0.3081 935 228 707
2010-04-15 2010-05-20 2010-09-24 -0.1557 114 26 88

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA -0.7 2.3 3.1 -7.7 1 -2.3
2009 -1.5 -1.1 3.5 0.8 4 2.7 1 -1.7 -3 -3.8 2.3 -0.1 3
2010 1.9 1.6 2.3 -1.2 -2.7 0.2 0.3 2.8 1.7 1 2.8 0.2 11.2
2011 1.3 -0.1 1.8 0.4 -1.4 1.1 0.5 -0.7 -4.5 -1.4 0 -0.3 -3.2
2012 1.7 0.5 1 0.6 -2.5 3.7 0.3 0.9 1 1.8 0.3 1.5 11.1
2013 0.5 0 -0.9 -1.1 -1.8 0.1 1.6 0.7 1.7 0.4 0.8 0.8 2.9
2014 -0.2 -0.4 1.3 0.3 -0.6 0.8 0.6 0 -1.6 0.5 -1.6 0.4 -0.5
2015 -2.1 -0.2 1 0.6 0.1 0.5 0.4 -3.2 0.5 -0.2 1 -0.3 -1.9
2016 -0.9 3.1 -0.6 -1 -0.2 0.8 0.1 0.6 0.5 -0.2 -0.4 -0.3 1.3
2017 0.2 1 -0.5 0.3 0.9 0.4 0.6 0.5 1.1 0.9 -0.7 0.4 5.2
2018 -1.4 -0.2 1.8 -0.2 1.1 1.3 -0.9 0.4 -0.2 3.6 0.2 -0.3 5.2
2019 -0.7 0.3 1.4 -0.4 0.1 1.4 -2.1 0.3 -0.6 1.4 -1.7 0.3 -0.2
2020 -2.1 0.1 -4.4 -3.4 2.2 1 -0.4 1.7 1.1 -1.3 1.5 -0.1 -4.4
2021 3 2.8 0.9 NA NA NA NA NA NA NA NA NA 6.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-08-15  50.1 SPY    130.  0.0049   0.0062   0.0397  -0.0876   -0.084   0.0513    0.311 GLD    77.6 -0.0217  -0.0805
2 2008-08-18  49   SPY    128. -0.0137  -0.0177   0.0191  -0.102    -0.113   0.0506    0.289 GLD    78.8  0.0151  -0.0287
3 2008-08-19  48.3 SPY    127. -0.0109  -0.0182   0.0075  -0.105    -0.122   0.0392    0.264 GLD    80.4  0.0207  -0.0011
4 2008-08-20  49.0 SPY    128.  0.0046  -0.0077   0.0008  -0.0854   -0.120   0.0441    0.265 GLD    80.1 -0.0046  -0.0184
5 2008-08-22  49.2 SPY    130.  0.0145  -0.004    0.033   -0.058    -0.115   0.0586    0.287 GLD    81.1 -0.0148   0.0444
6 2008-08-25  48.3 SPY    127. -0.0203  -0.0107   0.0123  -0.0839   -0.144   0.0391    0.273 GLD    80.9 -0.0019   0.027 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart